A big reason I hear from many Zune users is that iTunes doesn't play nice on Windows. I know back when I used iTunes (up until 2007), it was horrible. Slow, slow, slow. It would hang the system for over a minute to start up, it would update every couple days and attempt to force-install Quicktime and Safari, and the updates were around a hundred MB every time.
Apple has amazing software developers. There's no reason for iTunes for Windows to suck. A common conspiracy theory is they do it on purpose to show how awful Windows is. I don't know if that's true, but that's how it feels to me.
So for that reason, I'd rather have no iTunes support on my PC and have the easy choice made for me than to break out of the ecosystem to find a worse experience. I almost bought an iPhone until I remembered the desktop software was iTunes.
--edit, I'm sorry this felt like an anti-iTunes rant. I didn't mean it to be that way. What I really meant to say was "Microsoft doesn't play nice with Apple, but Apple doesn't play nice with Microsoft either." Though Microsoft does have a Windows Phone connector for Mac, and like an iPhone, a WP doesn't need Zune software to function.